Forward-backward stochastic differential equations: initiation, development and beyond

DOI10.3934/NACO.2022011MaRDI QIDQ6164084zbMATH OpenOpenAlexWikidataFDO

Authors Jiongmin Yong

Publication date 26 July 2023

Published in Numerical Algebra, Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/naco.2022011

zbMATH Keywords

backward stochastic partial differential equationsforward-backward stochastic differential equationrepresentation theoremmartingale problemfour-step scheme

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Second-order parabolic systems (35K40) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Optimal stochastic control (93E20)

Recommendations

• Forward-backward stochastic differential equations and their applications
• Forward-backward stochastic differential equations on Markov chains
• Forward-backward stochastic differential equation: A useful tool for mathematical finance and other related fields
• scientific article; zbMATH DE number 1066312
• Forward-backward SDEs with distributional coefficients

Cites work

• A Continuous-Time Version of the Principal–Agent Problem
• A General Stochastic Maximum Principle for Optimal Control Problems
• A numerical scheme for BSDEs
• Adapted solution of a backward stochastic differential equation
• Adapted solution of a degenerate backward SPDE, with applications
• An Introductory Approach to Duality in Optimal Stochastic Control
• Approximate solvability of forward-backward stochastic differential equations
• Backward Stochastic Differential Equations in Finance
• Backward stochastic partial differential equations with quadratic growth
• Backward-forward stochastic differential equations
• Black's consol rate conjecture
• Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations
• Finding adapted solutions of forward-backward stochastic differential equations: Method of continuation
• Forward-backward SDEs with discontinuous coefficients
• Forward-backward stochastic differential equations and their applications
• Four step scheme for general Markovian forward-backward SDEs
• Hedging options for a large investor and forward-backward SDE's
• INVARIANT IMBEDDING AND THE REDUCTION OF TWO-POINT BOUNDARY VALUE PROBLEMS TO INITIAL VALUE PROBLEMS
• Nonlinear Feynman-Kac formula and discrete-functional-type BSDEs with continuous coeffi\-cients
• Numerical method for backward stochastic differential equations
• Numerical methods for forward-backward stochastic differential equations
• On Distributions of Certain Wiener Functionals
• On Numerical Approximations of Forward-Backward Stochastic Differential Equations
• On linear, degenerate backward stochastic partial differential equations
• On non-Markovian forward-backward SDEs and backward stochastic PDEs
• On semi-linear degenerate backward stochastic partial differential equations
• On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case.
• On variant reflected backward SDEs, with applications
• On weak solutions of forward-backward SDEs
• On well-posedness of forward-backward SDEs -- a unified approach
• Path regularity for solutions of backward stochastic differential equations
• Reflected forward-backward SDEs and obstacle problems with boundary conditions
• Representation theorems for backward stochastic differential equations
• Representations and regularities for solutions to BSDEs with reflections
• Semi-linear degenerate backward stochastic partial differential equations and associated forward-backward stochastic differential equations
• Solution of forward-backward stochastic differential equations
• Solvability of forward-backward SDEs and the nodal set of Hamilton- Jacobi-Bellman equations
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• Space-time approach to non-relativistic quantum mechanics
• Stochastic Differential Utility
• Weak Solutions of Forward–Backward SDE's
• Weak solutions for forward-backward SDEs-a martingale problem approach
• \(W^{m,p}\)-solution (\(p\geqslant 2\)) of linear degenerate backward stochastic partial differential equations in the whole space

This page was built for publication: Forward-backward stochastic differential equations: initiation, development and beyond

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6164084)